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These are hypothetical performance results that have certain inherent limitations. Learn more

Stock Pairs Trader
(51314973)

Created by: RajeevSeth RajeevSeth
Started: 07/2010
Stocks
Last trade: 2,983 days ago
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $30.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

2.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(29.3%)
Max Drawdown
182
Num Trades
53.8%
Win Trades
1.3 : 1
Profit Factor
54.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                          +3.3%(0.1%)+2.9%(1.4%)(0.8%)(1.3%)+2.4%
2011+1.9%(0.2%)+2.6%+0.5%(1.1%)  -  (1.7%)(2.8%)+2.4%+2.9%(4.2%)(2.2%)(2.2%)
2012+2.9%+0.6%  -  (0.5%)(2%)+1.6%(0.1%)+0.1%+3.0%(0.3%)+0.3%  -  +5.7%
2013+1.2%+1.7%+3.3%(2.5%)+4.1%(3.9%)+3.1%+0.3%+2.5%+0.9%(0.2%)+0.1%+10.7%
2014(1.1%)+1.8%+2.6%(3.6%)(2.3%)(5.2%)(1.7%)+1.6%(1.4%)+1.5%+1.0%+1.6%(5.5%)
2015(1%)+2.5%+0.4%(3.5%)+15.8%+1.1%+2.9%(2.5%)(2.8%)+5.6%(0.5%)(1.2%)+16.8%
2016+2.5%(0.1%)+1.5%+2.3%(1.4%)+2.3%+2.6%(3.3%)  -  (8.4%)+2.2%(7.2%)(7.5%)
2017+2.9%+2.3%(2.1%)+25.1%(1.1%)+1.9%(0.7%)(2.2%)+1.2%+0.7%+0.1%+3.7%+33.4%
2018+0.5%(4.2%)(1.8%)+0.3%(0.4%)(0.4%)+3.9%+2.6%(1.1%)(2.3%)+1.3%(6.8%)(8.5%)
2019+6.8%+0.9%(0.1%)+2.3%+0.2%  -  (12.8%)+2.7%+2.7%+2.1%(2.5%)+1.0%
2020+0.2%+0.6%(15.7%)+4.7%(0.7%)+0.6%+1.3%+0.5%+0.9%(4.5%)+3.6%+0.4%(9.3%)
2021+1.0%+0.5%(0.7%)(0.6%)+0.5%(1.3%)+0.4%  -  +0.4%(2.2%)(1.7%)(1%)(4.8%)
2022+2.9%(2.4%)(4.7%)+1.4%+0.7%(1.6%)(0.6%)(6.2%)+3.4%+3.4%+15.7%+0.2%+11.1%
2023+1.3%(2.4%)(2.9%)+1.3%(1.3%)+3.4%+5.9%(1.5%)(5.2%)+0.6%+2.3%(3%)(2.1%)
2024+1.7%(7%)+2.2%                                                      (3.3%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 60 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4905 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/30/10 12:48 BMR BEAMR IMAGING LTD. SHORT 200 18.59 1/27/16 4:30 23.75 0.8%
Trade id #56310403
Max drawdown($1,046)
Time1/19/16 8:23
Quant open-200
Worst price23.82
Drawdown as % of equity-0.80%
($1,036)
Includes Typical Broker Commissions trade costs of $4.00
10/21/10 13:20 LNT ALLIANT ENERGY LONG 200 36.57 1/19/11 10:35 37.68 0.17%
Trade id #54076013
Max drawdown($175)
Time11/23/10 10:01
Quant open200
Worst price35.69
Drawdown as % of equity-0.17%
$218
Includes Typical Broker Commissions trade costs of $4.00
1/6/11 10:51 SXT SENSIENT TECHNOLOGIES SHORT 252 37.23 1/12 15:37 34.95 0.01%
Trade id #56533970
Max drawdown($7)
Time1/6/11 12:46
Quant open-252
Worst price37.26
Drawdown as % of equity-0.01%
$570
Includes Typical Broker Commissions trade costs of $5.04
1/6/11 10:51 SIAL SIGMA-ALDRICH LONG 200 65.90 1/12 15:37 64.86 0.52%
Trade id #56533996
Max drawdown($534)
Time1/12/11 9:41
Quant open200
Worst price63.23
Drawdown as % of equity-0.52%
($212)
Includes Typical Broker Commissions trade costs of $4.00
1/5/11 11:23 CLI MACK-CALI REALTY LONG 200 32.70 1/12 10:04 34.07 0.01%
Trade id #56485873
Max drawdown($8)
Time1/5/11 11:28
Quant open200
Worst price32.66
Drawdown as % of equity-0.01%
$270
Includes Typical Broker Commissions trade costs of $4.00
1/5/11 11:24 DRE DUKE REALTY SHORT 227 12.63 1/12 10:04 13.04 0.1%
Trade id #56485898
Max drawdown($104)
Time1/12/11 9:31
Quant open-227
Worst price13.09
Drawdown as % of equity-0.10%
($98)
Includes Typical Broker Commissions trade costs of $4.54
12/8/10 14:00 TCO TAUBMAN CENTERS INC. SHORT 201 48.37 1/11/11 10:44 50.64 0.68%
Trade id #55618069
Max drawdown($705)
Time1/4/11 9:31
Quant open-201
Worst price51.88
Drawdown as % of equity-0.68%
($460)
Includes Typical Broker Commissions trade costs of $4.02
11/26/10 12:31 REG REGENCY CENTERS SHORT 200 41.48 1/11/11 10:43 41.01 0.35%
Trade id #55242702
Max drawdown($360)
Time1/4/11 9:33
Quant open-200
Worst price43.28
Drawdown as % of equity-0.35%
$90
Includes Typical Broker Commissions trade costs of $4.00
11/26/10 12:31 DEI DOUGLAS EMMETT LONG 389 16.68 1/11/11 10:42 17.01 0.33%
Trade id #55242688
Max drawdown($346)
Time12/16/10 10:59
Quant open389
Worst price15.79
Drawdown as % of equity-0.33%
$120
Includes Typical Broker Commissions trade costs of $7.78
12/20/10 14:35 MAA MID-AMERICA SHORT 118 62.41 1/5/11 10:20 62.21 0.24%
Trade id #55983231
Max drawdown($252)
Time1/3/11 10:26
Quant open-118
Worst price64.55
Drawdown as % of equity-0.24%
$22
Includes Typical Broker Commissions trade costs of $2.36
12/17/10 9:35 BRE BRE PROPERTIES LONG 300 41.92 1/5/11 10:20 43.30 0.05%
Trade id #55918573
Max drawdown($50)
Time12/17/10 10:57
Quant open200
Worst price41.48
Drawdown as % of equity-0.05%
$408
Includes Typical Broker Commissions trade costs of $6.00
12/28/10 15:14 TMK TORCHMARK LONG 446 27.20 1/5/11 10:19 27.68 0.17%
Trade id #56236807
Max drawdown($174)
Time12/31/10 16:00
Quant open200
Worst price59.72
Drawdown as % of equity-0.17%
$205
Includes Typical Broker Commissions trade costs of $8.92
12/28/10 15:15 PFG PRINCIPAL FINANCIAL SHORT 290 32.92 1/5/11 10:19 32.92 0.28%
Trade id #56236819
Max drawdown($287)
Time1/3/11 12:23
Quant open-290
Worst price33.91
Drawdown as % of equity-0.28%
($6)
Includes Typical Broker Commissions trade costs of $5.80
12/8/10 12:34 DDR DDR SHORT 290 13.47 1/5/11 10:18 13.78 0.23%
Trade id #55614865
Max drawdown($237)
Time1/4/11 9:31
Quant open-290
Worst price14.29
Drawdown as % of equity-0.23%
($96)
Includes Typical Broker Commissions trade costs of $5.80
12/8/10 12:34 EQY EQUITY ONE LONG 200 17.73 1/5/11 10:18 18.21 0.21%
Trade id #55614854
Max drawdown($214)
Time12/15/10 9:32
Quant open200
Worst price16.66
Drawdown as % of equity-0.21%
$92
Includes Typical Broker Commissions trade costs of $4.00
12/30/10 12:52 CLP COLONIAL PROPERTIES LONG 200 18.24 12/30 14:19 18.26 0.01%
Trade id #56310485
Max drawdown($6)
Time12/30/10 13:02
Quant open200
Worst price18.21
Drawdown as % of equity-0.01%
$0
Includes Typical Broker Commissions trade costs of $4.00
11/4/10 9:47 MPW MEDICAL PROPERTIES TRUST SHORT 190 11.26 12/30 11:02 10.73 0.06%
Trade id #54492337
Max drawdown($62)
Time11/5/10 9:56
Quant open-190
Worst price11.59
Drawdown as % of equity-0.06%
$97
Includes Typical Broker Commissions trade costs of $3.80
11/4/10 9:47 WRE WASHINGTON REIT LONG 200 32.44 12/30 11:02 31.10 0.63%
Trade id #54492330
Max drawdown($658)
Time12/16/10 10:15
Quant open200
Worst price29.15
Drawdown as % of equity-0.63%
($272)
Includes Typical Broker Commissions trade costs of $4.00
11/10/10 12:46 YSI U-Store-It Trust SHORT 222 8.83 12/30 11:01 9.54 0.15%
Trade id #54702044
Max drawdown($159)
Time12/30/10 10:49
Quant open-222
Worst price9.55
Drawdown as % of equity-0.15%
($162)
Includes Typical Broker Commissions trade costs of $4.44
11/10/10 12:46 CLI MACK-CALI REALTY LONG 200 32.92 12/30 11:00 32.99 0.59%
Trade id #54702057
Max drawdown($614)
Time12/16/10 10:01
Quant open200
Worst price29.85
Drawdown as % of equity-0.59%
$10
Includes Typical Broker Commissions trade costs of $4.00
12/23/10 13:52 CNL CLECO LONG 200 31.07 12/28 14:38 31.10 0.07%
Trade id #56101474
Max drawdown($68)
Time12/28/10 10:12
Quant open200
Worst price30.73
Drawdown as % of equity-0.07%
$2
Includes Typical Broker Commissions trade costs of $4.00
12/17/10 9:54 POR PORTLAND GENERAL ELECTRIC SHORT 410 22.06 12/28 14:38 22.06 0.12%
Trade id #55920306
Max drawdown($123)
Time12/21/10 9:42
Quant open-210
Worst price22.65
Drawdown as % of equity-0.12%
($8)
Includes Typical Broker Commissions trade costs of $8.20
12/1/10 15:43 NU NU HOLDINGS LTD SHORT 233 31.61 12/28 14:37 31.94 0.12%
Trade id #55398653
Max drawdown($123)
Time12/20/10 9:31
Quant open-233
Worst price32.14
Drawdown as % of equity-0.12%
($82)
Includes Typical Broker Commissions trade costs of $4.66
12/1/10 15:43 PNW PINNACLE WEST CAPITAL LONG 400 41.13 12/28 14:37 41.80 0.18%
Trade id #55398638
Max drawdown($182)
Time12/9/10 9:48
Quant open200
Worst price40.15
Drawdown as % of equity-0.18%
$258
Includes Typical Broker Commissions trade costs of $8.00
11/18/10 10:17 CLP COLONIAL PROPERTIES SHORT 211 17.41 12/28 14:34 18.24 0.29%
Trade id #54964946
Max drawdown($299)
Time12/7/10 9:42
Quant open-211
Worst price18.83
Drawdown as % of equity-0.29%
($179)
Includes Typical Broker Commissions trade costs of $4.22
11/18/10 10:12 OHI OMEGA HEALTHCARE LONG 200 21.23 12/28 14:34 22.51 0.17%
Trade id #54964520
Max drawdown($176)
Time12/16/10 10:01
Quant open200
Worst price20.35
Drawdown as % of equity-0.17%
$252
Includes Typical Broker Commissions trade costs of $4.00
12/16/10 9:30 MAC MACERICH LONG 200 43.63 12/22 12:56 46.56 0.11%
Trade id #55874523
Max drawdown($110)
Time12/16/10 10:46
Quant open200
Worst price43.08
Drawdown as % of equity-0.11%
$582
Includes Typical Broker Commissions trade costs of $4.00
12/22/10 12:40 EPR EPR PROPERTIES LONG 200 46.72 12/22 12:56 46.64 0.02%
Trade id #56057144
Max drawdown($16)
Time12/22/10 12:47
Quant open200
Worst price46.66
Drawdown as % of equity-0.02%
($20)
Includes Typical Broker Commissions trade costs of $4.00
12/16/10 9:30 AMB AMB Property Corp. SHORT 226 30.57 12/22 12:55 31.67 0.29%
Trade id #55874527
Max drawdown($300)
Time12/22/10 11:08
Quant open-226
Worst price31.90
Drawdown as % of equity-0.29%
($254)
Includes Typical Broker Commissions trade costs of $4.52
11/4/10 9:49 WRI WEINGARTEN REALTY SHORT 193 24.52 12/22 10:37 23.42 0.28%
Trade id #54492447
Max drawdown($299)
Time11/5/10 15:54
Quant open-193
Worst price26.07
Drawdown as % of equity-0.28%
$208
Includes Typical Broker Commissions trade costs of $3.86

Statistics

  • Strategy began
    7/22/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4997.27
  • Age
    167 months ago
  • What it trades
    Stocks
  • # Trades
    182
  • # Profitable
    98
  • % Profitable
    53.80%
  • Avg trade duration
    273.1 days
  • Max peak-to-valley drawdown
    29.33%
  • drawdown period
    April 21, 2019 - Aug 31, 2022
  • Annual Return (Compounded)
    2.2%
  • Avg win
    $1,401
  • Avg loss
    $1,407
  • Model Account Values (Raw)
  • Cash
    $157,763
  • Margin Used
    $137,953
  • Buying Power
    $34,217
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.07
  • Sortino Ratio
    0.12
  • Calmar Ratio
    0.234
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -341.80%
  • Correlation to SP500
    0.19900
  • Return Percent SP500 (cumu) during strategy life
    380.05%
  • Return Statistics
  • Ann Return (w trading costs)
    2.2%
  • Slump
  • Current Slump as Pcnt Equity
    20.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.36%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.022%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    46.67%
  • Chance of 30% account loss
    6.67%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,408
  • Avg Win
    $1,401
  • Sum Trade PL (losers)
    $118,253.000
  • Age
  • Num Months filled monthly returns table
    165
  • Win / Loss
  • Sum Trade PL (winners)
    $137,346.000
  • # Winners
    98
  • Num Months Winners
    90
  • Dividends
  • Dividends Received in Model Acct
    16367
  • Win / Loss
  • # Losers
    84
  • % Winners
    53.9%
  • Frequency
  • Avg Position Time (mins)
    1041240.00
  • Avg Position Time (hrs)
    17354.00
  • Avg Trade Length
    723.1 days
  • Last Trade Ago
    2982
  • Regression
  • Alpha
    -0.00
  • Beta
    0.17
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    47.80
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    38.16
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    38.462
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.320
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.598
  • Hold-and-Hope Ratio
    0.129
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09544
  • SD
    0.20618
  • Sharpe ratio (Glass type estimate)
    0.46291
  • Sharpe ratio (Hedges UMVUE)
    0.45563
  • df
    48.00000
  • t
    0.93541
  • p
    0.17713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42983
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94471
  • Upside Potential Ratio
    2.61426
  • Upside part of mean
    0.26412
  • Downside part of mean
    -0.16867
  • Upside SD
    0.17943
  • Downside SD
    0.10103
  • N nonnegative terms
    28.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.36373
  • Mean of criterion
    0.09544
  • SD of predictor
    0.24182
  • SD of criterion
    0.20618
  • Covariance
    0.01683
  • r
    0.33761
  • b (slope, estimate of beta)
    0.28786
  • a (intercept, estimate of alpha)
    -0.00926
  • Mean Square Error
    0.03847
  • DF error
    47.00000
  • t(b)
    2.45889
  • p(b)
    0.00884
  • t(a)
    -0.08737
  • p(a)
    0.53463
  • Lowerbound of 95% confidence interval for beta
    0.05235
  • Upperbound of 95% confidence interval for beta
    0.52338
  • Lowerbound of 95% confidence interval for alpha
    -0.22248
  • Upperbound of 95% confidence interval for alpha
    0.20396
  • Treynor index (mean / b)
    0.33156
  • Jensen alpha (a)
    -0.00926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07579
  • SD
    0.19557
  • Sharpe ratio (Glass type estimate)
    0.38754
  • Sharpe ratio (Hedges UMVUE)
    0.38145
  • df
    48.00000
  • t
    0.78312
  • p
    0.21870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59148
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35438
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72165
  • Upside Potential Ratio
    2.37884
  • Upside part of mean
    0.24984
  • Downside part of mean
    -0.17405
  • Upside SD
    0.16406
  • Downside SD
    0.10503
  • N nonnegative terms
    28.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.33119
  • Mean of criterion
    0.07579
  • SD of predictor
    0.23598
  • SD of criterion
    0.19557
  • Covariance
    0.01691
  • r
    0.36634
  • b (slope, estimate of beta)
    0.30361
  • a (intercept, estimate of alpha)
    -0.02476
  • Mean Square Error
    0.03382
  • DF error
    47.00000
  • t(b)
    2.69911
  • p(b)
    0.00482
  • t(a)
    -0.25178
  • p(a)
    0.59885
  • Lowerbound of 95% confidence interval for beta
    0.07732
  • Upperbound of 95% confidence interval for beta
    0.52990
  • Lowerbound of 95% confidence interval for alpha
    -0.22259
  • Upperbound of 95% confidence interval for alpha
    0.17307
  • Treynor index (mean / b)
    0.24964
  • Jensen alpha (a)
    -0.02476
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08291
  • Expected Shortfall on VaR
    0.10409
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02928
  • Expected Shortfall on VaR
    0.05901
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.90435
  • Quartile 1
    0.98203
  • Median
    1.00509
  • Quartile 3
    1.02009
  • Maximum
    1.26697
  • Mean of quarter 1
    0.95077
  • Mean of quarter 2
    0.99683
  • Mean of quarter 3
    1.01373
  • Mean of quarter 4
    1.07525
  • Inter Quartile Range
    0.03805
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06122
  • Mean of outliers low
    0.90998
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06122
  • Mean of outliers high
    1.18600
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03826
  • VaR(95%) (moments method)
    0.04486
  • Expected Shortfall (moments method)
    0.06299
  • Extreme Value Index (regression method)
    -0.46664
  • VaR(95%) (regression method)
    0.06216
  • Expected Shortfall (regression method)
    0.07429
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00405
  • Quartile 1
    0.01192
  • Median
    0.04803
  • Quartile 3
    0.10064
  • Maximum
    0.26318
  • Mean of quarter 1
    0.00467
  • Mean of quarter 2
    0.02243
  • Mean of quarter 3
    0.08206
  • Mean of quarter 4
    0.18469
  • Inter Quartile Range
    0.08872
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.26318
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08883
  • Compounded annual return (geometric extrapolation)
    0.07874
  • Calmar ratio (compounded annual return / max draw down)
    0.29918
  • Compounded annual return / average of 25% largest draw downs
    0.42632
  • Compounded annual return / Expected Shortfall lognormal
    0.75641
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09808
  • SD
    0.26144
  • Sharpe ratio (Glass type estimate)
    0.37514
  • Sharpe ratio (Hedges UMVUE)
    0.37488
  • df
    1090.00000
  • t
    0.76552
  • p
    0.48841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33569
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33549
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62852
  • Upside Potential Ratio
    6.98577
  • Upside part of mean
    1.09010
  • Downside part of mean
    -0.99202
  • Upside SD
    0.20970
  • Downside SD
    0.15604
  • N nonnegative terms
    547.00000
  • N negative terms
    544.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1091.00000
  • Mean of predictor
    0.41512
  • Mean of criterion
    0.09808
  • SD of predictor
    0.31297
  • SD of criterion
    0.26144
  • Covariance
    0.01475
  • r
    0.18026
  • b (slope, estimate of beta)
    0.15058
  • a (intercept, estimate of alpha)
    0.03600
  • Mean Square Error
    0.06619
  • DF error
    1089.00000
  • t(b)
    6.04771
  • p(b)
    0.38587
  • t(a)
    0.28117
  • p(a)
    0.49458
  • Lowerbound of 95% confidence interval for beta
    0.10173
  • Upperbound of 95% confidence interval for beta
    0.19944
  • Lowerbound of 95% confidence interval for alpha
    -0.21265
  • Upperbound of 95% confidence interval for alpha
    0.28378
  • Treynor index (mean / b)
    0.65133
  • Jensen alpha (a)
    0.03557
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06529
  • SD
    0.25381
  • Sharpe ratio (Glass type estimate)
    0.25726
  • Sharpe ratio (Hedges UMVUE)
    0.25708
  • df
    1090.00000
  • t
    0.52496
  • p
    0.49205
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70334
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21761
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40692
  • Upside Potential Ratio
    6.66797
  • Upside part of mean
    1.06995
  • Downside part of mean
    -1.00466
  • Upside SD
    0.19654
  • Downside SD
    0.16046
  • N nonnegative terms
    547.00000
  • N negative terms
    544.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1091.00000
  • Mean of predictor
    0.36487
  • Mean of criterion
    0.06529
  • SD of predictor
    0.31814
  • SD of criterion
    0.25381
  • Covariance
    0.01540
  • r
    0.19072
  • b (slope, estimate of beta)
    0.15216
  • a (intercept, estimate of alpha)
    0.00978
  • Mean Square Error
    0.06213
  • DF error
    1089.00000
  • t(b)
    6.41145
  • p(b)
    0.37932
  • t(a)
    0.07984
  • p(a)
    0.49846
  • Lowerbound of 95% confidence interval for beta
    0.10559
  • Upperbound of 95% confidence interval for beta
    0.19872
  • Lowerbound of 95% confidence interval for alpha
    -0.23051
  • Upperbound of 95% confidence interval for alpha
    0.25006
  • Treynor index (mean / b)
    0.42913
  • Jensen alpha (a)
    0.00978
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02522
  • Expected Shortfall on VaR
    0.03157
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00854
  • Expected Shortfall on VaR
    0.01824
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1091.00000
  • Minimum
    0.89211
  • Quartile 1
    0.99577
  • Median
    1.00000
  • Quartile 3
    1.00492
  • Maximum
    1.26476
  • Mean of quarter 1
    0.98684
  • Mean of quarter 2
    0.99803
  • Mean of quarter 3
    1.00199
  • Mean of quarter 4
    1.01464
  • Inter Quartile Range
    0.00914
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.04125
  • Mean of outliers low
    0.96366
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.04125
  • Mean of outliers high
    1.04114
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49656
  • VaR(95%) (moments method)
    0.01320
  • Expected Shortfall (moments method)
    0.02929
  • Extreme Value Index (regression method)
    0.44647
  • VaR(95%) (regression method)
    0.01105
  • Expected Shortfall (regression method)
    0.02177
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00541
  • Median
    0.01839
  • Quartile 3
    0.03745
  • Maximum
    0.28890
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.01237
  • Mean of quarter 3
    0.02714
  • Mean of quarter 4
    0.09926
  • Inter Quartile Range
    0.03204
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10256
  • Mean of outliers high
    0.16654
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41771
  • VaR(95%) (moments method)
    0.10677
  • Expected Shortfall (moments method)
    0.20790
  • Extreme Value Index (regression method)
    0.75383
  • VaR(95%) (regression method)
    0.11243
  • Expected Shortfall (regression method)
    0.42706
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07503
  • Compounded annual return (geometric extrapolation)
    0.06747
  • Calmar ratio (compounded annual return / max draw down)
    0.23355
  • Compounded annual return / average of 25% largest draw downs
    0.67978
  • Compounded annual return / Expected Shortfall lognormal
    2.13731
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05995
  • SD
    0.30963
  • Sharpe ratio (Glass type estimate)
    0.19360
  • Sharpe ratio (Hedges UMVUE)
    0.19248
  • df
    130.00000
  • t
    0.13690
  • p
    0.49400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.57867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96515
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96439
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28361
  • Upside Potential Ratio
    7.52916
  • Upside part of mean
    1.59138
  • Downside part of mean
    -1.53143
  • Upside SD
    0.22468
  • Downside SD
    0.21136
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.50118
  • Mean of criterion
    0.05995
  • SD of predictor
    0.43005
  • SD of criterion
    0.30963
  • Covariance
    -0.00753
  • r
    -0.05655
  • b (slope, estimate of beta)
    -0.04072
  • a (intercept, estimate of alpha)
    0.08035
  • Mean Square Error
    0.09631
  • DF error
    129.00000
  • t(b)
    -0.64336
  • p(b)
    0.53598
  • t(a)
    0.18261
  • p(a)
    0.48977
  • Lowerbound of 95% confidence interval for beta
    -0.16594
  • Upperbound of 95% confidence interval for beta
    0.08450
  • Lowerbound of 95% confidence interval for alpha
    -0.79024
  • Upperbound of 95% confidence interval for alpha
    0.95094
  • Treynor index (mean / b)
    -1.47219
  • Jensen alpha (a)
    0.08035
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01259
  • SD
    0.30866
  • Sharpe ratio (Glass type estimate)
    0.04079
  • Sharpe ratio (Hedges UMVUE)
    0.04055
  • df
    130.00000
  • t
    0.02884
  • p
    0.49873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.73126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81236
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05814
  • Upside Potential Ratio
    7.23730
  • Upside part of mean
    1.56709
  • Downside part of mean
    -1.55450
  • Upside SD
    0.21832
  • Downside SD
    0.21653
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40749
  • Mean of criterion
    0.01259
  • SD of predictor
    0.43565
  • SD of criterion
    0.30866
  • Covariance
    -0.00816
  • r
    -0.06068
  • b (slope, estimate of beta)
    -0.04299
  • a (intercept, estimate of alpha)
    0.03011
  • Mean Square Error
    0.09566
  • DF error
    129.00000
  • t(b)
    -0.69046
  • p(b)
    0.53861
  • t(a)
    0.06872
  • p(a)
    0.49615
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.16619
  • Upperbound of 95% confidence interval for beta
    0.08020
  • Lowerbound of 95% confidence interval for alpha
    -0.83675
  • Upperbound of 95% confidence interval for alpha
    0.89697
  • Treynor index (mean / b)
    -0.29283
  • Jensen alpha (a)
    0.03011
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03083
  • Expected Shortfall on VaR
    0.03850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01275
  • Expected Shortfall on VaR
    0.02624
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92405
  • Quartile 1
    0.99307
  • Median
    1.00000
  • Quartile 3
    1.00770
  • Maximum
    1.09533
  • Mean of quarter 1
    0.97965
  • Mean of quarter 2
    0.99715
  • Mean of quarter 3
    1.00421
  • Mean of quarter 4
    1.02003
  • Inter Quartile Range
    0.01463
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.94275
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06292
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31765
  • VaR(95%) (moments method)
    0.01971
  • Expected Shortfall (moments method)
    0.03466
  • Extreme Value Index (regression method)
    0.22377
  • VaR(95%) (regression method)
    0.02173
  • Expected Shortfall (regression method)
    0.03577
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00501
  • Quartile 1
    0.05416
  • Median
    0.09746
  • Quartile 3
    0.13177
  • Maximum
    0.15395
  • Mean of quarter 1
    0.00501
  • Mean of quarter 2
    0.07054
  • Mean of quarter 3
    0.12437
  • Mean of quarter 4
    0.15395
  • Inter Quartile Range
    0.07761
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343456000
  • Max Equity Drawdown (num days)
    1228
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01263
  • Compounded annual return (geometric extrapolation)
    0.01267
  • Calmar ratio (compounded annual return / max draw down)
    0.08229
  • Compounded annual return / average of 25% largest draw downs
    0.08229
  • Compounded annual return / Expected Shortfall lognormal
    0.32906

Strategy Description

This trading system screens the universe of Russell 3000 stocks for matched stock pairs to go long and short. In this screening process, the automated computer system uses proprietary quantitative methods assembling 120,000 possible reasonable pairings of stocks in the Russell 3000 Index. Of these possible pairings, only a handful meet our strict criteria that decide which stock in the pair to go long and which stock to go short and when. When such a trading signal is generated, we immediately trade it with market orders, but you could use limit orders so long as you get filled within the same day.

Our stock pairs trading signal consists of simple instructions of the kind:

Buy 1000 shares of EQR, while
SIMULTANEOUSLY selling short 575 shares of VTR

You need to implement this trading signal by buying and selling both legs of the matched stock pair. You may execute the paired trading signal within a few hours of the system issuing the signal. It is very important to implement the two stock trades together on the same day, so as to derive the full benefit of the arbitrage potential in the stock pairing.

We will also provide you the closing signal on the trade pair, usually within a few days. Again, you must get out of the two legs together when your receive our exit signal.

Since there is plenty of time to implement the two trades, you can go about your business or hobbies without being glued to the financial markets. All you need to be able to do short selling is to open a margin account with your discount stock brokerage.

Or, to keep things really simple, automatic trading can be done in your brokerage accounts if you choose Autotrade in C2's systems.

I have been using this system successfully for 3 years before launching it publicly on C2. As you can see from its performance since July 22, 2010 on C2, the system has a very low drawdown. Following the trade signals given here is as good as parking your money in cash, while getting far better annual returns than cash which yields 0% in 2010. This has been achieved by designing this system to be quantitatively uncorrelated to the broad stock market. Currently, the correlation shown is 0.01, which means this system behaves almost independently to what the broad market does. Whether the broad market zigs or zags, this system clocks in its profit diligently.

The profit growth will appear to be painfully slow, especially in comparison to those futures based systems that seem to attract the most attention as "Hot Systems" on C2, but be aware that those systems will easily give you sleepless nights with drawdowns of more than 15%. this system's drawdown being less than 5%. Our motto is: the slow and steady win the race. We would rather be steady even if we are slow in increasing the equity curve shown. We believe in showing substance, and letting the sizzle-masters delude the crowds by creating multiple systems or with marketing hype. We only have one system which works well.

The system's "capacity" is very high, since the system only sifts through the very liquid US stocks in the Russell 3000, and they offer a huge amount of liquidity. This system's capacity should not be impacted by more participants being drawn in.

You can get more details on my instaBlog at

http://seekingalpha.com/author/rajeev-seth/instablog

and at my website on Quantitative Investments at:

http://www.beatindex.biz

Please feel free to email me at [email protected] if you have any questions or concerns before you subscribe to this system.

Summary Statistics

Strategy began
2010-07-22
Suggested Minimum Capital
$100,000
# Trades
182
# Profitable
98
% Profitable
53.8%
Net Dividends
Correlation S&P500
0.199
Sharpe Ratio
0.07
Sortino Ratio
0.12
Beta
0.17
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.